Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 5 | 5 | 5 |
| Score | -1.14 | -1.22 | -0.25 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.81 | 0.82 | 0.81 |
| Idiosyncratic Volatility | 0.79 | 0.86 | 1.35 |
Annualized return and volatility
| VSMAX | |
|---|---|
| Annualized Return | 0.0802 |
| Annualized Std Dev | 0.2216 |
| Annualized Sharpe (Rf=0%) | 0.3620 |
Row
Daily Return Statistics
| VSMAX | |
|---|---|
| Observations | 4890.0000 |
| NAs | 224.0000 |
| Minimum | -0.1745 |
| Quartile 1 | -0.0059 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0074 |
| Maximum | 0.0937 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0140 |
| Skewness | -0.5906 |
| Kurtosis | 10.2183 |
Downside Risk
| VSMAX | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0094 |
| Loss Deviation | 0.0109 |
| Downside Deviation (MAR=210%) | 0.0148 |
| Downside Deviation (Rf=0%) | 0.0100 |
| Downside Deviation (0%) | 0.0100 |
| Maximum Drawdown | 0.5968 |
| Historical VaR (95%) | -0.0212 |
| Historical ES (95%) | -0.0327 |
| Modified VaR (95%) | -0.0219 |
| Modified ES (95%) | -0.0463 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2010-12-21 | -0.5968 | 883 | 426 | 457 |
| 2000-11-16 | 2002-10-09 | 2004-01-05 | -0.4161 | 800 | 481 | 319 |
| 2011-05-02 | 2011-10-03 | 2012-09-06 | -0.2838 | 347 | 109 | 238 |
| 2018-08-30 | 2018-12-24 | 2019-11-26 | -0.2458 | 318 | 82 | 236 |
| 2015-06-24 | 2016-02-11 | 2016-08-23 | -0.2328 | 299 | 164 | 135 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | VSMAX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.4 | 0.0 | 2.4 |
| 2001 | 0.1 | -0.3 | 0.0 | 1.1 | 1.0 | 0.0 | 0.9 | 0.0 | -1.7 | 1.6 | 0.0 | 0.0 | 2.8 |
| 2002 | -0.6 | 1.9 | -0.4 | 0.0 | 0.0 | -3.0 | -0.8 | 0.0 | 1.6 | 2.7 | 0.0 | 0.0 | 1.2 |
| 2003 | 0.0 | 0.0 | 1.1 | 0.1 | 0.0 | 0.4 | -1.4 | 0.0 | 2.3 | 0.0 | 1.4 | 0.0 | 4.0 |
| 2004 | 0.0 | 1.6 | 0.9 | 0.0 | 0.6 | -1.4 | 0.0 | 0.8 | 1.8 | 0.5 | 1.5 | 0.0 | 6.5 |
| 2005 | 0.7 | 0.7 | -0.4 | 0.0 | 1.0 | 0.7 | 0.4 | 0.4 | 0.0 | -0.5 | 1.7 | 0.0 | 4.8 |
| 2006 | 0.2 | 1.3 | 0.0 | -0.4 | 1.8 | 0.0 | -1.2 | 0.3 | 0.0 | -1.5 | -0.4 | 0.0 | 0.1 |
| 2007 | 1.0 | -0.3 | 0.0 | 0.2 | 0.7 | 0.0 | 0.1 | 0.0 | 2.0 | -3.4 | 0.0 | 0.0 | 0.2 |
| 2008 | 2.5 | 0.0 | 3.3 | 1.8 | 0.0 | 0.2 | 0.1 | 0.0 | -1.1 | 0.0 | -11.4 | 0.0 | -5.3 |
| 2009 | 0.0 | 0.0 | 1.6 | 0.0 | 3.9 | 1.6 | 0.0 | -2.7 | -3.4 | 0.0 | 1.7 | 0.0 | 2.6 |
| 2010 | 1.4 | 2.1 | 0.9 | 0.0 | -3.1 | -0.6 | 0.0 | 3.6 | 0.4 | -0.5 | 2.1 | 0.0 | 6.4 |
| 2011 | 2.0 | -1.8 | 0.5 | 0.0 | -3.0 | 1.6 | -0.6 | -2.2 | 0.0 | -3.5 | -0.8 | 0.0 | -7.5 |
| 2012 | 2.1 | 0.6 | 0.0 | 0.1 | -3.2 | 0.0 | -1.6 | 0.0 | 0.1 | 1.5 | 0.0 | 0.0 | -0.4 |
| 2013 | 0.9 | 0.0 | -1.1 | -1.9 | 0.0 | 1.4 | 1.6 | 0.0 | 1.3 | -0.1 | 0.0 | 0.0 | 2.2 |
| 2014 | 0.0 | 0.0 | 1.2 | 0.1 | 0.0 | 0.8 | -0.3 | 0.0 | -1.4 | 0.0 | -1.5 | 0.0 | -1.1 |
| 2015 | 0.0 | 0.0 | -0.2 | 0.7 | 0.2 | 0.3 | 0.0 | -2.7 | -0.1 | 0.0 | 0.6 | 0.0 | -1.2 |
| 2016 | 0.0 | 2.0 | 0.3 | 0.0 | 0.6 | 0.4 | -0.2 | 0.0 | 0.0 | -1.1 | -0.5 | 0.0 | 1.4 |
| 2017 | -0.2 | 1.6 | 0.0 | 0.4 | 1.6 | 0.0 | 0.2 | 0.5 | 0.0 | -0.3 | -0.3 | 0.0 | 3.5 |
| 2018 | 0.2 | -0.4 | 0.0 | 0.3 | 0.8 | 0.0 | 0.0 | 0.0 | -1.0 | 2.0 | 0.0 | 0.0 | 1.8 |
| 2019 | 0.4 | 0.8 | 1.3 | -1.0 | 0.0 | 0.5 | -1.6 | 0.0 | -1.8 | 1.5 | 0.0 | 0.1 | 0.1 |
Row
Rolling Performance Chart
Snail Trail Chart
